Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Aristocrat Leisure Limited backtest
10 trend-following strategies were compared on the full daily history of Aristocrat Leisure Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.7%, MDD -44.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 15.5%, drawdown -89.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.7%, MDD -64.5%, Sharpe 0.89, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.7%, MDD -48.5%, exposure 68%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 20.7%, MDD -44.7%, exposure 64%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=252 |
22.7% | -64.5% | 0.89 | 0.35 | 469.8x | 21 | 65% |
| Donchian 채널 돌파 entryN=73, exitN=79 |
21.9% | -46.0% | 0.89 | 0.47 | 382.3x | 35 | 62% |
| ROC 모멘텀 n=170, threshold=-0.04 |
22.7% | -48.5% | 0.88 | 0.47 | 470.8x | 87 | 68% |
| EMA 크로스오버 fast=18, slow=261 |
20.7% | -44.7% | 0.87 | 0.46 | 285.0x | 29 | 64% |
| Supertrend period=29, mult=2.7 |
18.5% | -67.5% | 0.80 | 0.27 | 166.2x | 204 | 58% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
10.6% | -30.8% | 0.65 | 0.34 | 20.7x | 64 | 28% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=21, mult=3.9 |
9.9% | -43.2% | 0.64 | 0.23 | 17.1x | 62 | 22% |
| ADX / DI 방향성 period=38, threshold=24 |
8.1% | -27.2% | 0.61 | 0.30 | 10.4x | 42 | 16% |
| Parabolic SAR step=0.005, maxStep=0.38 |
10.1% | -77.0% | 0.51 | 0.13 | 18.2x | 242 | 58% |
| MACD fast=17, slow=44, signal=16 |
1.6% | -85.5% | 0.19 | 0.02 | 1.6x | 374 | 51% |
| Buy and hold | 15.5% | -89.1% | 0.57 | 0.17 | 76.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 252-day average
- Sell — Sell (to cash) when the 52-day average falls below the 252-day average